I'm planning to use xBee pro 868 which can draw up to 800 mA of power. I think normal shields may have not enough 3.3V power. What is more I think 11$ for this shields is a little bit too much. The last point is that I could make my device smaller by not using whole arduino, but only atmega chip programed with arduino.

Maybe you could link me to some schematics on how to connect xbee to arduino without a shield?

All that needs to be connected is RX, TX, and ground. You hardly need a schematic for that. Supply the XBee with 3.3V power of sufficient amperage. Be careful about the 5V nature of the Arduino, unless you are running at 8 MHz/3.3V.

definitely don't need a schematic. I've done this several times just using a regulator chip. I took the vin pin of the arduino and led it to a 3V regulator and took the regulated output to the XBee (of course there were a couple of caps). So, I actually had 4 wires, vin, grnd, tx, rx. I fed the arduino with one of those 2A wall warts designed for the iPad. Simple.

What you're looking for is something that will give you 3V even when the XBee transmits. That usually means a 3V regulator and a couple of caps. Take a look here: http://www.ladyada.net/images/xbee/xbee11sch.png

The power supply is in the upper left corner, now all you have to do is choose the regulator. Do a little checking on the specs for the XBee and anything else you may run on the same little board and then get a regulator that supplies can supply more than that. The reason you use the vin pin on the arduino is to keep from overloading the +5 regulator the arduino uses.

The XBee's pins are 5V tolerant, so you can hook directly to them. There are some schematics out there that show voltage dividers and such to connect it into the arduino, but I have a couple that are hooked directly in with no problems, ever. I don't know about some of the knock offs though. Anyway on the schematic that I pointed you to, there is a nice little buffer chip shown that is a great way to hook them up. I use the buffer chip on things that may be put in extreme environments because operating in fringe zones at 150F might not be a good idea.